Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Chance and Decision. Stochastic Control in Discrete Time

Chance and Decision. Stochastic Control in Discrete Time

Zabczyk, Jerzy

Paperback

Series: Publications of the Scuola Normale Superiore

CalculusGeneral Mathematics

ISBN10: 8876422420
ISBN13: 9788876422423
Publisher: Edizioni Della Normale
Published: Oct 1 1996
Pages: 185
Weight: 0.91
Height: 0.49 Width: 6.58 Depth: 9.50
Language: English
Mathematical theory of discrete time decision processes, also known as stochastic control, is based on two major ideas: backward induction and conditioning. It has a large number of applications in almost all branches of the natural sciences. The aim of these notes is to give a self-contained introduction to this theory and its applications. Our intention was to give a global and mathematically precise picture of the subject and present well motivated examples. We cover systems with complete or partial information as well as with complete or partial observation. We have tried to present in a unified way several topics such as dynamic programming equations, stopping problems, stabilization, Kalman-Bucy filter, linear regulator, adaptive control and option pricing. The notes discuss a large variety of models rather than concentrate on general existence theorems.

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